Overview / Usage

The stock market is like candy-land for any data scientists who are even remotely interested in finance.
First, you have many types of data that you can choose from. You can find prices, fundamentals, global macroeconomic indicators, volatility indices, etc… the list goes on and on.
Second, the data can be very granular. You can easily get time series data by day (or even minute) for each company, which allows you think creatively about trading strategies.
Finally, the financial markets generally have short feedback cycles. Therefore, you can quickly validate your predictions on new data.
We can build time series models, or even recurrent neural networks, on the delta between implied and actual volatility.